I don’t know how it happened, but it’s working now:
I opened the Default index set and clicked on Maintenance > Recalculate index ranges
Now Graylog 4.2.7+879e651 detected the last indexes (graylog_34, graylog_35 and graylog_36) that were being used in Graylog 3.3.11+9335407 VM:
And it started storing/searching syslogs again.
The number of documents is increasing in graylog_36 index as expected.
Thanks!